Quantile dependence of Bitcoin with clean and renewable energy stocks: new global evidence

Aviral Tiwari, Emmanuel Abakah, Mohd Ziaur Rehman and Chi-Chuan Lee

Applied Economics, 2024, vol. 56, issue 3, 286-300

Abstract: This paper examines the time-varying spillover effects and connectedness of the Bitcoin price with clean and renewable energy stocks using the quantile VAR framework. We use daily price indices spanning from 1 January 2014, to 18 October 2022. Before probing the quantile spillover effects between the markets examined, we first examine the mean-based averaged connectedness. These results indicate that Bitcoin receives more shocks from markets in the system than it transmits. Additionally, Bitcoin emerges as a net receiver of return shocks with index evolution among the markets examined, driven mainly by own shocks. Shifting to the results obtained using the QVAR approach, evidence reveals that Bitcoin acts as a net recipient of shocks under different quantiles in the system. In addition, Bitcoin returns strongly correlate with renewable energy stock returns under extreme events. We also confirm the dominance of renewable energy markets over Bitcoin and that the magnitude of their connectedness is time and event dependent. These findings confirm the diversification potential and safe-haven properties of Bitcoin for portfolio investors.

Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:56:y:2024:i:3:p:286-300

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DOI: 10.1080/00036846.2023.2167921

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